Resampling from the past to improve on MCMC algorithms

MaRDI QIDQ5192608zbMATH OpenFDO

Authors Yves F. Atchadé

Publication date 6 August 2009

Full work available at URL https://arxiv.org/abs/math/0605452, http://pphmj.com/abstract/3878.htm

zbMATH Keywords

adaptive MCMCequi-energy samplerimportance resamplingMarkov Chain Monte Carlo (MCMC) algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Transition functions, generators and resolvents (60J35)

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Cited in

(5)

• Markov chain Monte Carlo sampling using a reservoir method
• On nonlinear Markov chain Monte Carlo
• A cautionary tale on the efficiency of some adaptive Monte Carlo schemes
• On the convergence rates of some adaptive Markov chain Monte Carlo algorithms
• Discussion of ``Equi-energy sampler by Kou, Zhou and Wong

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